LevyType Models for Equity Derivatives: On the Pricing of Exotic Equity Derivatives under Pure Jump LevyType Models,Used

LevyType Models for Equity Derivatives: On the Pricing of Exotic Equity Derivatives under Pure Jump LevyType Models,Used

In Stock
SKU: DADAX3639348818
Brand: VDM Verlag
$110.13 $157.33
Save $47.20
Quantity
Add to wishlist
Add to compare

Processing time: 1-3 days

US Orders Ships in: 3-5 days

International Orders Ships in: 8-12 days

Return Policy: 15-days return on defective items

Payment Option
Payment Methods

Help

If you have any questions, you are always welcome to contact us. We'll get back to you as soon as possible, withing 24 hours on weekdays.

Customer service

All questions about your order, return and delivery must be sent to our customer service team by e-mail at yourstore@yourdomain.com

Sale & Press

If you are interested in selling our products, need more information about our brand or wish to make a collaboration, please contact us at press@yourdomain.com

First, we lay the theoretical foundation by reviewing Levy Processes and their properties. Next, stochastic time change techniques are discussed thoroughly, including subordinated Levy Processes, and general time changed ones. A general framework on how to price European options, and therefore on how to calibrate these models to market data, is presented and its implementation is discussed. Besides going over the properties of selected models, we will also demonstrate how to perform simulations of the desired quantities. Tests with real market data are carried out we judge the empirical power of the models by comparing their ?t to market data, and analyze path behavior implied by the calibration procedure. This gives good intuition for the pricing of exotic options. In particular, we devote one chapter each to Barrier and Cliquet Options and comparisons to quotes found in the OTC market.

⚠️ WARNING (California Proposition 65):

This product may contain chemicals known to the State of California to cause cancer, birth defects, or other reproductive harm.

For more information, please visit www.P65Warnings.ca.gov.

Recently Viewed